Performance of China’s interbank market in H1 2009.pdf

Performance of China’s interbank market in H1 2009 Research Department China Foreign Exchange Trade System National Interbank Funding Center Abstract In the first half of 2009, the interbank market observed smooth performance for foreign exchange, money, bond, interest-rate and exchange-rate derivatives. Money market interest rates fluctuated in a narrow range, while major product rates declined as a whole. The interbank T-bond index consolidated after a fall, and T-bond yield curve went up as a whole. The central parity of RMB/USD declined a little with narrowed fluctuation range. Compared with year-ago figures, the average daily trading volume increased slightly in the RMB/ FX spot market, while the trading volume expanded markedly for RMB/FX swaps, with quotes switching from premium to discount, and trading volume shrank noticeably for RMB/FX forwards. Keywords: interbank market, cash bond market, central bank paper, interbank FX market, average daily turnover, RMB central parity In H1 2009, money market interest rates fluctuated in a narrow range, and Shibor kept stable. The interbank T-bond index consolidated after a fall. The central parity of RMB/USD increased by 0.07% compared with the figure at the beginning of 2009, and RMB/USD swaps quotes indicated that the market expectation switched from RMB depreciation to RMB appreciation. The interbank money market traded 43.6 trillion yuan in H1 2009, up 31.4% year-on-year. Among this, credit lending traded 7.9 trillion yuan, pledged repo 34.1 trillion yuan and outright repo 1.6 trillion yuan. The interbank bond market traded 21.7 trillion yuan, up 33.7% year-on-year. The interbank FX spot market witnessed a smooth run, and the trading volume increased slightly year-on-year. The interest-rate deri